Research Output per year

## Fingerprint Dive into the research topics where In-Suk Wee is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

- 2 Similar Profiles

Jump-diffusion Model
Mathematics

Independent Increments
Mathematics

Local Time
Mathematics

Stochastic Volatility Model
Mathematics

Black-Scholes Model
Mathematics

Option Pricing
Mathematics

Jump
Mathematics

Weak Invariance Principle
Mathematics

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## Research Output 1988 2016

- 114 Citations
- 6 h-Index
- 21 Article

2
Citations
(Scopus)

## A recursive method for discretely monitored geometric Asian option prices

Kim, B., Kim, J., Kim, J. & Wee, I-S., 2016, In : Bulletin of the Korean Mathematical Society. 53, 3, p. 733-749 17 p.Research output: Contribution to journal › Article

Asian Options

Recursive Method

Heston Model

Generalized Fourier Transform

Volatility

2
Citations
(Scopus)

## Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications

Kim, J., Kim, B. & Wee, I-S., 2016 Mar 1, In : Journal of Computational and Applied Mathematics. 294, p. 177-195 19 p., 10268.Research output: Contribution to journal › Article

Jump-diffusion Model

Regime Switching

First Passage Time

Laplace transforms

Iterative Algorithm

18
Citations
(Scopus)

## Pricing of geometric Asian options under Heston's stochastic volatility model

Kim, B. & Wee, I-S., 2014 Oct 1, In : Quantitative Finance. 14, 10, p. 1795-1809 15 p.Research output: Contribution to journal › Article

Stochastic volatility model

Asian options

Heston

Pricing

Floating

8
Citations
(Scopus)

## Valuation of power options under Heston's stochastic volatility model

Kim, J., Kim, B., Moon, K. S. & Wee, I-S., 2012 Nov 1, In : Journal of Economic Dynamics and Control. 36, 11, p. 1796-1813 18 p.Research output: Contribution to journal › Article

Stochastic Volatility Model

Stochastic models

Valuation

Moment

Heston Model

11
Citations
(Scopus)

## An accurate and efficient numerical method for black-scholes equations

Jeong, D., Kim, J. & Wee, I-S., 2009 Dec 1, In : Communications of the Korean Mathematical Society. 24, 4, p. 617-628 12 p.Research output: Contribution to journal › Article

Black-Scholes Equation

Asset Pricing

Black-Scholes

Option Pricing

Finite difference method